Counterparty Credit Risk and Credit Value Adjustment

Jon Gregory 지음

Wiley 2012년 09월 07일 출간

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A practical guide to counterparty risk management and credit value adjustment from a leading credit practitionerSince the collapse of Lehman Brothers and the resultant realization of extensive counterparty risk across the global financial markets, the subject of counterparty risk has become an unavoidable issue for every financial institution. This book explains the emergence of counterparty risk and how financial institutions are developing capabilities for valuing it. It also covers portfolio management and hedging of credit value adjustment, debit value adjustment, and wrong-way counterparty risks. In addition, the book addresses the design and benefits of central clearing, a recent development in attempts to control the rapid growth of counterparty risk. This uniquely practical resource serves as an invaluable guide for market practitioners, policy makers, academics, and students.

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Acknowledgements xviiList of Spreadsheets xixList of Appendices xxiSECTION I INTRODUCTION 11 Introduction 32 Background 92.1 Introduction 92.2 Financial risk 92.3 Value-at-Risk 112.4 The derivatives market 142.5 Counterparty risk in context 182.6 Summary 203 Defining Counterparty Credit Risk 213.1 Introducing counterparty credit risk 213.2 Components and terminology 303.3 Control and quantification 343.4 Summary 40SECTION II MITIGATION OF COUNTERPARTY CREDIT RISK 414 Netting, Compression, Resets and Termination Features 454.1 Introduction 454.2 Netting 464.3 Termination features and trade compression 514.4 Conclusion 575 Collateral 595.1 Introduction 595.2 Collateral terms 645.3 Defining the amount of collateral 715.4 The risks of collateralisation 745.5 Summary 776 Default Remote Entities and the Too Big to Fail Problem 796.1 Introduction 796.2 Special purpose vehicles 826.3 Derivative product companies 826.4 Monolines and credit DPCs 846.5 Central counterparties 937 Central Counterparties 977.1 Centralised clearing 977.2 Logistics of central clearing 1057.3 Analysis of the impact and benefits of CCPs 1137.4 Conclusions 1188 Credit Exposure 1218.1 Credit exposure 1218.2 Metrics for credit exposure 1268.3 Factors driving credit exposure 1308.4 Understanding the impact of netting on exposure 1388.5 Credit exposure and collateral 1438.6 Risk-neutral or real-world? 1508.7 Summary 153SECTION III CREDIT VALUE ADJUSTMENT 1559 Quantifying Credit Exposure 1579.1 Introduction 1579.2 Methods for quantifying credit exposure 1579.3 Mon

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저자(글) Jon Gregory

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Jon Gregory is an experienced practitioner in the area of financial risk management. From 1995 to 1997 he worked in the Fixed Income division of Salomon Brothers. From 1997 to 2005 he was with BNP Paribas and from 2005 until 2008 he was global head of credit analytics at Barclays Capital. Jon has published a number of papers and articles on risk management, credit derivatives and quantitative finance and is a regular speaker at international conferences. He was a co-author of the book Credit: A Complete Guide to Pricing, Hedging and Risk Management, nominated in 2001 for the Kulp-Wright award for the most significant text in risk management and insurance. He is currently a partner at Solum Financial based in London and advises a number of banks on their counterparty risk and CVA practices. He holds a PhD from Cambridge University.